*
* Example SP500I.DAT from pp 515-522
*
open data sp500i.dat
calendar(m) 1981:12
data(format=free,org=columns) 1981:12 1990:1 date sp500 crash
*
graph(footer="Figure 12-12 Monthly S&P 500")
# sp500
*
set lsp500 = log(sp500)
*
* Pre-invention estimate with just difference and constant.
*
boxjenk(diffs=1,const) lsp500 * 1987:09
@regcorrs
*
* 0,0,0 intervention
*
boxjenk(diffs=1,const,inputs=1,apply) lsp500
# crash 0 0 0
*
* 1,0,0 intervention. Note that RATS does numerator (s), denominator (r) and
* delay (b) in that order.
*
boxjenk(diffs=1,const,inputs=1,apply) lsp500
# crash 1 0 0
@regcorrs
*
* 0,1,0 intervention
*
boxjenk(diffs=1,const,inputs=1,apply) lsp500
# crash 0 1 0
@regcorrs